Using lightning:overlayLibrarylightning base component messages can be displayed as modal and pop over in Lightning communities and Lightning Experience but this base component is not supported in Lightning Out App, Instead we can use slds modals where we can use that to show messages in modal or popover.

A modal blocks everything else on the page until it’s dismissed. A modal must be acknowledged before a user regains control over the app again. A modal is triggered by user interaction, which can be a click of a button or link. The modal header, body, and footer are customizable. Pressing the Escape key or clicking the close button closes the modal.